Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly ...

Latent factors are variables that cannot be observed directly but can be inferred from a set of observable variables. For example, in psychology, bad conduct (latent factor) can be measured by how ...

This paper analyzes similar tests for structural change for the normal linear regression model in finite samples. Using the approach of Wald (1943, "American Mathematical Society Transactions" 54, 426 ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...